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Scalping ES


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Scalping ES

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  #11 (permalink)
 jmont1 
Market Wizard
New York, NY
 
Experience: Intermediate
Platform: NinjaTrader8
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I've looked at the same theory, I should always be able to predict 3 ticks direction and even had a spreadsheet theorizing what it would make. I actually thought of doing it with ES day trading only. It was not as easy as i thought and abandoned it. Your system has several areas of concern. First, everyone is focused on the stop loss. Why did you pick 64? Is there any reason other than it is a multiple of 8 which is common in computers and the Asian lucky number?

Then there is the margin. So at ES intraday margins of $500 you will need an account with $100k margin which I am sure you have if you can take $160k full stop. But what happens if U feel compelled to hold past 4:45pm EST, not 5pm? Now margin goes to $12,650 per contract. But you probably only would be thinking of holding because you are losing since a winning position is only either one or 2 ticks. Either way, that is a HUGE account.

Then your broker will probably insist you register as a professional trader so take any cost changes into account, plus being very closely monitored.

You probably were not here when oil went to a negative price. People had to pay for someone to take the contract prior to expiration. So do not trade ES or any other instrument near expirations. When this negative CL happened, brokers got burned bad and cracked down on whacky things.

Oh, by the way you will be investigated for spoofing if you start placing trades and cancelling before full load. In the United States, spoofing is illegal, and is a criminal offense. Put aside enough money for a good lawyer. I would suspect that would about $200,000 retainer. Hourly rate of $600 plus the associate rate of $300. spoof

https://www.sofi.com/learn/content/what-is-spoofing-trading/

So, may I recommend you start smaller, like 7 contracts with let's say 13 tick stop. two opposing luck numbers. Then scale up as you prove out your very strong entry criteria.

OR possibly trade ZB. It is $37.50 per tick so 3 ticks is worthwhile and you would have to have gone on vacation to hit a 64 stop without you panicking. ZB margin is $1000 and only $3,850 overnight.

The YOUTUBE idea sounds worth looking into.

Hope this helped. Good trading all !!!

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  #12 (permalink)
 josh 
Legendary Market Wizard
Georgia, US
 
Experience: None
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jmont1 View Post
Oh, by the way you will be investigated for spoofing if you start placing trades and cancelling before full load. In the United States, spoofing is illegal, and is a criminal offense. Put aside enough money for a good lawyer. I would suspect that would about $200,000 retainer. Hourly rate of $600 plus the associate ate $300.

Please tell me this comment is a joke.

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  #13 (permalink)
 jmont1 
Market Wizard
New York, NY
 
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Trading: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
 
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josh View Post
Please tell me this comment is a joke.

Not sure where the joke is. I am aware that those fees are used for insider trading. So figure similar for this. 200 contract trades will stand out for a retail trader.

Let me know which part you think is unrealistic and I can modify it.

Thanks for the skepticism. It makes us all better for it.

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  #14 (permalink)
 jmont1 
Market Wizard
New York, NY
 
Experience: Intermediate
Platform: NinjaTrader8
Broker: Data = Rithmic -- Gives 70 Level II Data
Trading: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
 
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Spoofing trader gets 3 years in jail around 2015

https://www.bing.com/videos/search?q=convictedof+spoofing&docid=608035238942810277&mid=550E7D805ADB48A0E172550E7D805ADB48A0E172&view=detail&FORM=VIRE

Another got 1 yr in June 2021

https://www.bing.com/videos/search?q=convictedof+spoofing&&view=detail&mid=28518E4AEA59CBE1BCB328518E4AEA59CBE1BCB3&rvsmid=550E7D805ADB48A0E172550E7D805ADB48A0E172&FORM=VDQVAP

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  #15 (permalink)
 josh 
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Let me stand corrected. I did not know that the CFTC had been prosecuting spoofing more consistently in the past couple of years. Good for them. In one case they even prosecuted a trader who was executing <= 10 contracts on gold, and spoofing ~50 contracts. Wow.

It did not used to be this way. What's interesting is that the entire HFT business model, minus legit market making, really does involve placing orders that are not intended to be executed. It's frustrating that they charge a single trader $500K in fines for spoofing a 50 lot in gold, when it's just so common. Let's just say, I don't expect Ken Griffin, whose business relies on spoofing, to see a second of jail time.

However, I don't think the OP intends to spoof. When you place an order and cancel it, it's not spoofing. It's about the intent. So, if you don't know whether or not you're spoofing, you're not, and he certainly doesn't need a lawyer on retainer for it.

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  #16 (permalink)
 Tymbeline 
Leeds UK
 
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josh View Post
if you don't know whether or not you're spoofing, you're not


I think that's probably right, at least in the technical sense of lack of "mens rea" for a criminal conviction.



josh View Post
and he certainly doesn't need a lawyer on retainer for it.


I'm not quite so sure about that part of it, because my understanding is that in practice, on what they see as policy consideration grounds alone, the attitude of some authorities at the moment may be to "initiate prosecutions first and ask questions later". Being entirely innocent doesn't, in reality, necessarily obviate the benefit of having legal advice available.

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  #17 (permalink)
Mozart2112
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egroussman View Post
Wanted to give this a shot and was curious if anyone has tried something similar. Yes i know its kamikaze as i need a 100% win rate, but its not impossibe.

Risking 64 ticks to scalp 3 on heavy contracts 200+. One trade per day

In the long term I think you will do much better if you flip that risk/reward ratio.

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  #18 (permalink)
Howard Roark
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egroussman View Post
Wanted to give this a shot and was curious if anyone has tried something similar. Yes i know its kamikaze as i need a 100% win rate, but its not impossibe.

Risking 64 ticks to scalp 3 on heavy contracts 200+. One trade per day

Do you seriously intend to trade 200 contracts per clip? Are you that fully capitalized?

Regardless, I think it's an interesting prospect.

The problem with such an approach is that it does require a very high win rate. If you're a very experienced trader with sufficient discipline I most certainly think you can achieve a 90/95 % win rate. However, no matter how good you are, you will end up taking that loss sooner or later. And when you do, it will set you back 21 days gross. Even more net.

So, at least make sure your stop-loss is tighter.

Personally, if I were to do this I would a) use a tighter stop (but certainly not too tight); b) Size down such that I could double down if I took a loss on my first trade of the day.

I did talk to a 1-point per day ES trader a while back. He claimed to be doing this going for 1 point per day and had < 5 losing days per year over the last few years. He traded 20-30 contracts. He never shared how large his stop was, though. And we lost contact before getting to that.

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  #19 (permalink)
 glennts 
Corpus Christi, TX / Westcliffe, CO
 
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dallen1 View Post
I watch the tape all day and I do see trades like that go by very fast for 1 tick on ES, but the vast majority of them also risk 1 tick, I have only been trading futures for a few months so don't quote me. But I do see an order entry for 100+ cons lets say at 4400 and instantly it will get stopped at 4399.75 for like half the cons, maybe they reduce risk and let the rest ride, I don't know, just saying what I notice.

What makes you think that these trades are the same position? Unless you have access to the initiating trade account ID, which you don't and unless you can sort thru identifying who is trading what and why out of the 10's of thousands of contracts traded during any 15 min period in the ES, and unless your data provider is not aggregating small lot trades into 50 or 100 lot sizes to save on bandwidth, then you are fooling yourself by thinking you actually are seeing useful information that gives you insight into how the markets work.

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  #20 (permalink)
 fivewhy 
Fort Lauderdale, Florida, USA
 
Experience: Beginner
Platform: NT8, Bookmap
Trading: ES, MES
 
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Howard Roark View Post
I did talk to a 1-point per day ES trader a while back. He claimed to be doing this going for 1 point per day and had < 5 losing days per year over the last few years. He traded 20-30 contracts. He never shared how large his stop was, though. And we lost contact before getting to that.

I'd be curious how this individual entered a position, whether by market order in one fell swoop, or a limit entry order at or near the best bid/ask, or a limit entry order set at some predefined price. Setting aside the criteria for an entry.

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